Your question is an important one, and one which makes those of us who
have been in the field of genomics for even five years feel old.
Chromosome walking is a technology, and as such it is about to become
obsolete. Its main purpose was to allow scientists access to physical
clones spanning a region of genetic interest. From physical clones it is
possible to identify candidate genes, and thereby identify the precise
molecular lesion causing a disease. In the post genome era, chromosome
walking will be obsolete because we will simply dial up the databases and
request the sequence between two markers without any benchwork at all.

To put this in historical perspective, the first major use of chromosome
walking was to find the Cystic fibrosis gene, all the way back in 1989.
http://www3.ncbi.nlm.nih.gov/htbin-post/Omim/dispmim?602421#CLONING At
that time they had narrowed the region containing the gene to an interval
between two markers on chromosome 7, but the sequence in between was not
available. Therefore physical clones were isolated walking across the
locus, used for candidate gene discovery, and ultimately lead to
identification of the CFTR gene.

This process (genetic mapping followed by physical mapping followed by
candidate gene analysis) became known as positional cloning, which has been
wildly successful in isolating mutations causing many rare mendelian
disorders, including the breast cancer genes BRCA1
http://www3.ncbi.nlm.nih.gov/htbin-post/Omim/dispmim?113705 and BRCA2
http://www3.ncbi.nlm.nih.gov/htbin-post/Omim/dispmim?600185. However,
positional cloning is rapidly becoming obsolete, because almost every
Mendelian disease with clear genetic loci has been positionally cloned,
providing that more than two or three families can be found globally.

Anyhow, the short answer to your question is that chromosome walking
was used to identify the surrounding sequence of a particular "unknown"
gene which was known to lie between two markers.